Yeah, this can be a little confusing a first. When "wa" is used as a particle it is written as は. However when it is used as part of a word, ie watashi （わたし） It appears as わ.
A similar thing occurs with the particle "(w)o". It is pronounced "o" ｂut you don't use お, you use を. Although, you will hear some people pronounce it as "wo."
Don't worry, you'll get used to it.
By the way, if you're looking for a good way to learn Hiragana and Katakana (And Kanji, too), I recommend using Kanji Trainer PenPen. You can download it free here:
http://coolest.com/penpen/
This is the program that I used to learn and it worked great for me. Plus it has a penguin, so there you go.
がんばってください！
